Historical Stock Option Volatility Data

Data Analysis Products

Since its launch in 2002, the IvyDB US database has been the industry standard for historical option prices and implied volatility data. Used by over 300 institutions, IvyDB contains accurate end-of-day prices for options along with their correctly calculated implied volatilities and greeks. With IvyDB, you will be able to evaluate risk models, test trading strategies, and perform sophisticated research on all aspects of the options markets.

Following the success of its US counterpart, IvyDB Europe was launched in 2008. It has since become the industry standard for historical option prices, and implied volatility data in the European markets. Used by over 300 institutions, IvyDB contains accurate end-of-day prices for options along with their correctly calculated implied volatilities and greeks. With IvyDB, you will be able to evaluate risk models, test trading strategies, and perform sophisticated research on all aspects of the options markets.

Since its launch in 2010, IvyDB Asia has brought much-needed transparency of option prices and implied volatility data in the Asian markets. Used by over 300 institutions, OptionMetrics’ IvyDB products contain accurate end-of-day prices for options along with their correctly calculated implied volatilities and greeks. With IvyDB, you will be able to evaluate risk models, test trading strategies, and perform sophisticated research on all aspects of the options markets.

IvyDB Canada was launched in 2011, following the successes of its regional counterparts, IvyDB US, Europe, and Asia. Used by over 300 institutions, OptionMetrics’ IvyDB products contain accurate end-of-day prices for options along with their correctly calculated implied volatilities and greeks. With IvyDB, you will be able to evaluate risk models, test trading strategies, and perform sophisticated research on all aspects of the options markets.

Following the success of its regional counterparts (IvyDB US, Europe, Asia, and Canada), IvyDB Global Indices was launched in 2011. Used by over 300 institutions, OptionMetrics’ IvyDB products contain accurate end-of-day prices for options along with their correctly calculated implied volatilities and greeks. With IvyDB Global Indices, you will be able to evaluate risk models, test trading strategies, and perform sophisticated research on all aspects of the options markets.

IvyDB Futures contains historical future option price data of the highest obtainable quality for the US futures markets. With the accurate price data of IvyDB Futures, you will be able to evaluate risk models, test trading strategies, and perform empirical and econometric research of the US futures option markets.

OptiGraph is a flexible and fast charting tool for graphing realized and implied volatility data on all US optionable securities, including indices. Users can quickly view volatility patterns going as far back as 1996 and compare vols across securities.

With OptiGraph you can also calculate correlations between volatilities, analyze which vols are cheap or rich across underlying securities or different maturities, view skew patterns, trading volume, and more.

Currently, OptiGraph is used by professional options traders at major investment banks, prop trading shops, and hedge funds. Traditional money managers also use OptiGraph to quickly assess implied volatility levels for the stocks and indices they trade.

The IvyDB Signed Volume dataset, available as an add-on product for IvyDB US, contains daily data on detailed option trading volume. Trades in the IvyDB US dataset are assigned as either buyer-initiated or seller-initiated based on the trade price and the bid-ask quote at the time of the trade. The total assigned daily volume is aggregated and updated nightly.

With IvyDB Signed Volume, you can get key insights into option market order flows and participant activity. Use signed volume to better understand buy/sell pressure on options markets and improve your research!